CHEN Jing, ZHANG Shuguang, . Pricing of European Call Option on Corporate Bond[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(1): 63-67.
Citation: CHEN Jing, ZHANG Shuguang, . Pricing of European Call Option on Corporate Bond[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(1): 63-67.
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Pricing of European Call Option on Corporate Bond

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  • In this paper, we study tile pricing problem of European call option written on a corporate bond and get a relationship between tile price of such option and that of a call option written on a risk-free bond.
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